bbgo_origin/pkg/indicator/cci.go

101 lines
2.9 KiB
Go
Raw Normal View History

2022-05-09 10:55:14 +00:00
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/datatype/floats"
2022-05-09 10:55:14 +00:00
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Commodity Channel Index
// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
//
// The Commodity Channel Index (CCI) is a technical analysis indicator that is used to identify potential overbought or oversold conditions
// in a security's price. It was originally developed for use in commodity markets, but can be applied to any security that has a sufficient
// amount of price data. The CCI is calculated by taking the difference between the security's typical price (the average of its high, low, and
// closing prices) and its moving average, and then dividing the result by the mean absolute deviation of the typical price. This resulting value
// is then plotted as a line on the price chart, with values above +100 indicating overbought conditions and values below -100 indicating
// oversold conditions. The CCI can be used by traders to identify potential entry and exit points for trades, or to confirm other technical
// analysis signals.
2022-05-09 10:55:14 +00:00
//go:generate callbackgen -type CCI
type CCI struct {
types.SeriesBase
2022-05-09 10:55:14 +00:00
types.IntervalWindow
Input floats.Slice
TypicalPrice floats.Slice
MA floats.Slice
Values floats.Slice
2022-05-09 10:55:14 +00:00
UpdateCallbacks []func(value float64)
}
func (inc *CCI) Update(value float64) {
2022-05-09 10:55:14 +00:00
if len(inc.TypicalPrice) == 0 {
inc.SeriesBase.Series = inc
inc.TypicalPrice.Push(value)
inc.Input.Push(value)
2022-05-09 10:55:14 +00:00
return
} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
2022-05-09 10:55:14 +00:00
}
inc.Input.Push(value)
tp := inc.TypicalPrice.Last(0) - inc.Input.Index(inc.Window) + value
2022-05-09 10:55:14 +00:00
inc.TypicalPrice.Push(tp)
if len(inc.Input) < inc.Window {
2022-05-09 10:55:14 +00:00
return
}
ma := tp / float64(inc.Window)
2022-05-09 10:55:14 +00:00
inc.MA.Push(ma)
if len(inc.MA) > MaxNumOfEWMA {
2022-05-09 10:55:14 +00:00
inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
}
md := 0.
for i := 0; i < inc.Window; i++ {
diff := inc.Input.Last(i) - ma
md += diff * diff
2022-05-09 10:55:14 +00:00
}
md = math.Sqrt(md / float64(inc.Window))
2022-05-09 10:55:14 +00:00
cci := (value - ma) / (0.015 * md)
2022-05-09 10:55:14 +00:00
inc.Values.Push(cci)
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *CCI) Last(i int) float64 {
return inc.Values.Last(i)
2022-05-09 10:55:14 +00:00
}
func (inc *CCI) Index(i int) float64 {
return inc.Last(i)
2022-05-09 10:55:14 +00:00
}
func (inc *CCI) Length() int {
return len(inc.Values)
}
var _ types.SeriesExtend = &CCI{}
2022-05-09 10:55:14 +00:00
func (inc *CCI) PushK(k types.KLine) {
inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
}
func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
if inc.TypicalPrice.Length() == 0 {
2022-05-09 10:55:14 +00:00
for _, k := range allKLines {
inc.PushK(k)
inc.EmitUpdate(inc.Last(0))
2022-05-09 10:55:14 +00:00
}
} else {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
inc.EmitUpdate(inc.Last(0))
2022-05-09 10:55:14 +00:00
}
}